An electronic trading system generally includes a trading device in communication with an electronic exchange. The electronic exchange transmits market data to the trading device. Market data includes, for example, price data, market depth data, last traded quantity data, and/or any data related to a market for a tradeable object. In some electronic trading systems, the trading device sends trade orders to the electronic exchange. In another example, a server device, on behalf of the trading device, sends the trade orders to the electronic exchange. Upon receiving a trade order, the electronic exchange enters the trade order into an exchange order book and attempts to match quantity of the trade order with quantity of one or more contra-side trade orders.
Users of market data depend on up-to-date market data and information about trade orders to make informed trades. Thus, it is desirable to maintain the integrity of the message stream containing such market data and trade order information. Detection of lost messages related to market data and trade orders and reduction of message stream data are beneficial in the environment of electronic trading.